Stock Market Liquidity and the Business Cycle
研究了股票市场流动性与商业周期之间的强关联，发现经济下行时投资者转向优质资产导致流动性系统性变化，为流动性共性提供了新解释。
ABSTRACT In the recent financial crisis we saw liquidity in the stock market drying up as a precursor to the crisis in the real economy. We show that such effects are not new; in fact, we find a strong relation between stock market liquidity and the business cycle. We also show that investors' portfolio compositions change with the business cycle and that investor participation is related to market liquidity. This suggests that systematic liquidity variation is related to a “flight to quality” during economic downturns. Overall, our results provide a new explanation for the observed commonality in liquidity.